Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0071
Annualized Std Dev 0.0441
Annualized Sharpe (Rf=0%) 0.1602

Row

Daily Return Statistics

Close
Observations 3378.0000
NAs 1.0000
Minimum -0.0390
Quartile 1 -0.0006
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0008
Maximum 0.0462
SE Mean 0.0000
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0028
Skewness -0.1968
Kurtosis 81.3155

Downside Risk

Close
Semi Deviation 0.0020
Gain Deviation 0.0025
Loss Deviation 0.0027
Downside Deviation (MAR=210%) 0.0087
Downside Deviation (Rf=0%) 0.0020
Downside Deviation (0%) 0.0020
Maximum Drawdown 0.1161
Historical VaR (95%) -0.0024
Historical ES (95%) -0.0057
Modified VaR (95%) -0.0001
Modified ES (95%) -0.0001
From Trough To Depth Length To Trough Recovery
2020-03-10 2020-03-19 2020-05-20 -0.1161 51 8 43
2008-03-19 2008-10-01 2008-12-23 -0.0738 195 137 58
2010-09-01 2011-01-14 2011-08-16 -0.0438 242 95 147
2016-08-24 2018-11-02 2019-08-05 -0.0368 741 554 187
2012-02-27 2013-06-25 2016-02-05 -0.0334 993 334 659

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA 0 0.1 0 0.1
2008 -0.2 -1.2 0.2 0 0 0 -0.3 -0.3 -3.9 -0.2 -0.9 0.3 -6.3
2009 0.2 0 0 -0.3 -0.2 0 0 -0.3 -0.3 -0.2 -0.1 0 -1.1
2010 -0.1 0 0 0 -0.2 -0.2 0.2 -0.2 -0.2 -0.1 -0.2 0.4 -0.7
2011 -0.1 -0.1 0 -0.1 -0.1 -0.2 0.2 -0.4 -0.2 0.2 -0.2 0 -1
2012 0 -0.1 0 0 0 0 -0.2 0 -0.3 -0.1 0.1 0.1 -0.4
2013 0 0 0 0 0.1 0 -0.1 0 -0.1 0 0 0 -0.3
2014 0 0.1 -0.2 -0.1 0.1 0 0 0.1 -0.1 0 -0.1 0.1 0.1
2015 0 0 -0.2 0 0 -0.2 0.2 -0.1 -0.1 0 -0.1 0 -0.5
2016 -0.1 0 -0.1 0 0 0 -0.2 -0.2 0 -0.1 0 0 -0.8
2017 -0.1 -0.2 0 0 -0.1 -0.1 -0.1 -0.2 0 -0.1 0 -0.1 -1
2018 -0.1 -0.1 0 -0.1 -0.1 0 -0.2 0.1 0 -0.1 0.1 0 -0.6
2019 -0.1 -0.2 -0.1 -0.2 0.1 -0.1 0 -0.1 -0.2 -0.1 0 0.1 -1
2020 -0.1 0 -1.1 0.1 -0.3 -0.2 0 0 -0.1 -0.1 -0.1 0 -1.9
2021 0 0 0 NA NA NA NA NA NA NA NA NA 0

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart